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luphord / nelson_siegel_svensson

Implementation of the Nelson-Siegel-Svensson interest rate curve model.
MIT License
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Weighted Regression #11

Closed mtomic123 closed 1 year ago

mtomic123 commented 2 years ago

Great package!

Just a question - do you correct for the fact that front end of the curve usually has much more data than the far end of the curve? Something like Weighted Least Squares?

luphord commented 2 years ago

No, there is no correction happening here, all data points have equal weight in the regression.